TAR(p)/ARCH(1) process guaranteed parameter estimation and change-point detection

Bibliographic Details
Parent link:	International MultiConference of Engineers and Computer Scientists, IMECS 2016: Proceedings of the Conference, March 16-18, 2016, Hong Kong Vol. 2.— 2016.— [P. 936-941]
Main Author:	Burkatovskaya Yu. B. Yuliya Borisovna
Corporate Author:	Национальный исследовательский Томский политехнический университет (ТПУ) Институт кибернетики (ИК) Кафедра вычислительной техники (ВТ)
Other Authors:	Sergeeva E. E. Ekaterina Evgenjevna, Vorobeychikov S. E. Sergey Erikovich
Summary:	Title screen A sequential method of unknown autoregressive parameters estimation of TAR(p)/ARCH(1) model, which all are assumed to be unknown, is presented. This procedure is based on the construction of the special stopping rule and weights for weighted least square estimation method, which allow us to guarantee the prescribe accuracy of the estimation.Also a sequential procedure of change point detection is proposed. Upper bounds for its basic characteristics, such as the probability of false alarm and the delay probability, are obtained.
Language:	English
Published:	2016
Subjects:	электронный ресурс труды учёных ТПУ оценка параметры изменения
Online Access:	http://www.iaeng.org/publication/IMECS2016/IMECS2016_pp936-941.pdf
Format:	Electronic Book Chapter
KOHA link:	https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648825

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